The game series Suikoden did this quite a bit.
In Suikoden, your journey takes place primarily in the Scarlet Moon Empire. You never really go outside of the nation, though you do meet dwarves, elves, and kobolds. Now, late in the game, you battle a general near one of the Northern borders. In order to best him, your strategist states that he sent a letter to the nation to the North, The Jowston City-State, informing them of the attack. Soon scouts tell the general that an army has amassed on the border and it becomes clear that no matter the outcome of the fight, which the general will lose, the Jowston forces will invade. This actually forces the general to join forces with your army in order to prevent an invasion.
We do not see the Jowston City-State, or their army during Suikoden. We don't even meet one of their officers. We simply hear of this army.
However, Suikdoen II take places in the Jowston City-State as it battles the Kingdom of Highland. While you do go to the capital of the original game's nation to ask for help, you don't see much else of it. However, you do meet Sasarai from the nation of Harmonia who's army aides the Highland forces in some battles. And even later you encounter Lucia of the Karaya Clan of the Grasslands. Both characters and nations appear in Suikoden III.
And, yes, in Suikoden III a NPC in a town mentions the Island Nations which is where Suikoden IV takes place.
There's a legend in the games of two powerful mages who are rivals and seek immortality, Crowley and Mazus, who was taught by Crowley. Supposedly, they once fought, leveled a mountain and caused it to rain for a week. Crowley can be recruited in Suikoden, and Mazus in Suikoden II. (Oh, and according to the official timeline they were each born after their duel.) In Suikoden III, the old wizard Piccolo claims to be the third student of Crowley.
And these are just off the top of my head. There are almost certainly more examples of people mentioning things that don't appear in the game they are in.